半强制分红政策影响的实证分析

发布时间：2018-01-06 06:03

本文关键词：半强制分红政策影响的实证分析　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：2008年10月9日,证监会正式出台了《关于修改上市公司现金分红若干规定的决定》(以下简称为《决定》)这一政策文件,由此我国上市公司半强制分红制度正式形成。2012年5月4日颁布的《关于进一步落实上市公司现金分红有关事项的通知》(以下简称为《通知》)政策文件,此文件为半强制分红政策的补充说明。但学术界和实务界对这一政策的看法褒贬不一,证监会把上市公司分红制度与公司再融资资格挂钩,产生了监管悖论：一方面,半强制分红使投资者能定期获得稳定的投资回报,有利于培养投资者的价值投资意识；另一方面,将公司分红比例与再融资资格挂钩,提高了公司的融资门槛,会对某些资金紧缺的上市公司产生不利影响。本文研究的目的在于通过实证分析,考察该政策的推出对广大投资者(微观层面)、不同类型上市公司(中观层面)及整个资本市场波动性及有效性(宏观层面)的影响,通过实证结论评述该政策的利弊并提出可行性建议。全文研究半强制分红政策的影响,具有理论和实务意义。在现有文献中,有的文献研究了半强制分红政策对市场短期收益率的影响；有的文献在没有对上市公司类型进行细致划分的情况下,研究了该政策对上市公司整体的影响。本文从微观、中观以及宏观三个层次出发,研究了半强制分红政策的综合影响。在微观层面上研究该政策对广大投资者的影响,在中观层面上分析了该政策对民营/非民营、高成长型/非高成长型、处于高竞争行业/低竞争行业这些类型上市公司的影响,在宏观层面上研究了该政策对我国资本市场波动性和有效性的影响。这些研究分析可以说是承前启后,在汲取了以前文献精华的同时,丰富了现有文献研究成果。此外,通过对该政策影响的综合分析,客观评价了该政策的利弊,同时给出了合理的政策建议。本文的研究方法如下：1、采用事件研究法研究该政策对广大投资者的影响,这可以通过该政策对投资者收益率的影响来衡量。2、在中观层面上研究该政策对处于不同发展阶段、不同股权结构、所处不同行业竞争环境的上市公司的影响。采用描述性统计(对比不同类型上市公司事件窗口期CAR走势)和多元回归模型两种方法进行研究；并另外选用两个不同的事件窗口期进行稳健性检验。3、在宏观层面上通过实证分析研究半强制分红政策推出后对市场波动性及有效性的影响,采用GARCH模型进行研究。本文结构安排总共有六个部分,第一部分阐述了本文的研究背景及提出所要研究的问题、研究目的和意义；简要地介绍研究问题时所运用的理论及相关研究方法;同时阐明了本文的研究特点及不足之处。第二部分文献综述。国内文献综述部分按照所要研究的微观、中观以及宏观三个层面分别阐述了以往相关的学术文献成果。国外文献综述部分主要阐明了传统的股利分配理论,包括理论的假设条件、思考角度以及内涵等。该部分还总结了已有文献对本文研究的启示。第三部分为微观层面的实证分析,主要研究半强制分红政策的推出对广大投资者的影响。该部分采用事件研究法,以《决定》和《通知》颁布日为事件日,分析这两个事件窗口期间累计平均超额收益率CAR走势,来判断该政策确立对广大投资者的影响。第四部分为中观层面的实证分析,研究半强制分红政策对不同类型上市公司的影响。该部分通过观测CAR走势和建立多元回归模型两种方法,研究该政策对民营/非民营、高成长型/非高成长型、处于高竞争/低竞争行业这几种不同类型上市公司的影响；并另外选用两个不同的事件窗口期进行稳健性检验。第五部分为宏观层面的实证分析,研究半强制分红政策对资本市场波动性和有效性的影响。该部分采用GARCH(1,1)模型,判断该政策对资本市场波动性和有效性的变化。第六部分是政策评价及建议。通过前面部分的实证研究结果,客观地评价了半强制分红制度的利弊,并据此提出了相应的建议。全文通过微观、中观以及宏观三个层面对半强制分红政策的影响进行分析,实证结果发现：1、通过对《决定》和《通知》颁布的两个事件日采用事件研究法分析,发现CAR在这两个事件窗口期的CAR走势都呈现“上升——下滑”的状态,投资者的收益率也经历了先升后降的过程,同时也说明市场上投资者对该政策的态度是一个“乐观——失望”的转变过程。 2、通过比较按三大标准划分的上市公司在事件窗口期CAR走势表明,相对于国有上市公司、非成长型公司、处于非高竞争行业上市公司,半强制分红政策对民营上市公司、高成长型及高竞争型上市公司产生相对不利的影响。此外,通过设立多元回归模型对三个虚拟变量系数进行估计,估计结果系数为负,也进一步证明方法一CAR走势的比较结果。 3、由方差方程回归结果可知,长期考察期的回归系数λ为负,说明从长期来看,半强制分红政策降低了市场的波动性(大约降低了0.031034)。关于对市场有效性的影响,对两个时间段的方差方程做回归估计,发现第二个时间区间的α1和β1都小于前期水平,说明资本市场的有效性得到了提高。本文有以下三个特点：首先,研究层次的全面性。本文从微观、中观以及宏观三个层面研究半强制分红政策的影响。在微观层面上研究该政策对广大投资者的影响；在中观层面上研究该政策对不同类型上市公司的影响；在宏观层面上研究该政策对市场波动性及有效性的影响。其次,在微观层面分析中,增加了对《通知》事件日窗口期CAR走势的分析,通过两个事件窗口期CAR走势的比较分析,能更合理地判断该政策对广大投资者的影响。最后,在中观层面分析中,研究了半强制分红政策对民营/非民营上市公司、高成长型/非高成长型上市公司、处于高竞争行业/低竞争行业上市公司的影响。由于作者的时间及学识有限,本文的研究也出现了某些不足。在研究中观层次对不同类型上市公司影响时,划分不同类型上市公司方面有很大的不足：上市公司类型有着不同的划分标准,每种标准的划分没有足够的理论支撑,具有很强的主观性；本文虽然有针对性地按三种标准对上市公司分类,但分类标准很粗糙,也没有做到细致地划分上市公司进行研究。
[Abstract]:On Oct . 9 , 2008 , the CSRC officially launched a policy document on the amendment of several provisions of cash dividend distribution in listed companies , which is a supplementary explanation of semi - compulsory dividend policy . This paper studies the influence of semi - compulsory dividend policy on the short - term yield of listed companies by studying the influence of semi - compulsory dividend policy on the market volatility and effectiveness of listed companies . The research method is as follows : 1 . The influence of the policy on the investors is studied by using the event research method . The influence of the policy on the yield of the investors can be measured through the policy . This paper presents a total of six parts , the first part describes the background of the research and the problems , the research purpose and the significance of the research , and briefly introduces the theory and relevant research methods used in the study , and also expounds the characteristics and disadvantages of the study . The second part is a review of the literature review . According to the microscopic , meso and macroscopic aspects of the study , the author expounds the achievements of traditional dividend distribution , including the hypothesis condition , the thinking angle and the connotation of the traditional dividend distribution theory . The part also summarizes the enlightenment of the existing literature to the study . The third part is the empirical analysis on the micro level , which mainly studies the influence of the semi - compulsory dividend policy on the broad investors . The part adopts the event research method to analyze the trend of the cumulative average excess yield CAR during the two event windows to judge the influence of the policy on the broad investors . The fourth part is divided into the empirical analysis of meso - level and the influence of semi - compulsory dividend policy on different types of listed companies . The fifth part studies the influence of semi - compulsory dividend policy on the volatility and effectiveness of capital market . The part adopts the model of the ARCH ( 1,1 ) to judge the change of the volatility and effectiveness of the capital market . The sixth part is the policy evaluation and suggestion . Through the positive results of the previous section , the pros and cons of semi - compulsory dividend system are objectively evaluated , and the corresponding suggestions are put forward accordingly . The paper analyzes the influence of semi - compulsory dividend policy through micro , meso and macro three levels , and finds out that the CAR trend of CAR in the window period of the two events shows the state of " rising _ decline " , and the return of the investor also experiences the process of " rising _ decline " . At the same time , the investor ' s attitude towards the policy is a " optimistic _ disappointment " transition process . 2 . By comparing the CAR trend of listed companies divided according to the three criteria in the event window period , it is shown that the semi - compulsory dividend policy has a relative adverse effect on the listed companies , the high - growth type and the high - competitive listed companies with respect to the state - owned listed companies and the non - growth companies . In addition , the three virtual variable coefficients are estimated by establishing a multiple regression model , and the result coefficients are negative , and the comparison result of the method one CAR trend is further proved . 3 . Based on the regression results of the variance equation , the regression coefficient 位 of the long - term observation period is negative , which shows that the semi - compulsory dividend policy reduces the volatility of the market ( about 0.031034 ) in the long term . As to the effect of the market effectiveness , the variance equation of the two time periods is estimated to be less than the previous level , which indicates that the validity of the capital market is improved . This paper has three characteristics : Firstly , the comprehensive nature of the research hierarchy is studied . The influence of this policy on the broad investors is studied from the micro , meso and macro levels . At the meso level , the influence of the policy on different types of listed companies is studied , and the influence of the policy on the market volatility and effectiveness is studied at the macro level . Secondly , in the micro - level analysis , the analysis of CAR trend of the daily window period is added , and the influence of the policy on the general investors can be determined more reasonably through the comparative analysis of CAR trend in the two events . Finally , in the analysis of meso - level , the influence of semi - compulsory dividend policy on public / private listed companies and high - growth / non - high - growth listed companies is studied . Due to the limited time and knowledge of the author , there are some deficiencies in the research of listed companies . In the study of the influence of meso - level on different types of listed companies , there is a big deficiency in dividing different types of listed companies : the types of listed companies have different dividing criteria , and each standard has not enough theoretical support .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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